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On the use of cross-validation for time series predictor evaluation

Information Sciences · 2012 · Vol. 191 · pp. 192–213
Christoph BergmeirJosé M. Benítez
Forecasting Techniques and ApplicationsStock Market Forecasting MethodsTime Series Analysis and ForecastingComputer scienceMachine learningSeries (stratigraphy)Selection (genetic algorithm)Time seriesCross-validationModel selectionRegressionArtificial intelligenceRegression analysis

Funding

  • Ministerio de Educación, Cultura y Deporte
  • Ministerio de Ciencia e Innovación
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References
Least angle regression
The Annals of Statistics · 2004 · 9,400 citations
Cross-Validatory Choice and Assessment of Statistical Predictions
Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1974 · 10,283 citations
Load Forecasting Using Support Vector Machines: A Study on EUNITE Competition 2001
IEEE Transactions on Power Systems · 2004 · 837 citations
Time Series Analysis: Forecasting and Control
Journal of Marketing Research · 1977 · 19,299 citations
Modern Applied Statistics With S
Technometrics · 2003 · 2,819 citations
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